AlexCatarino
34b664460d
Adds WindowIdentity indicator and its test. We need this at WeightedBy to keep values and weights at sync (same sample number). Adds WeightedBy indicator extension and a simple test in IndicatorExtensionsTests Adds VolumeWeightedAveragePriceIndicator (VWAP indicator), its test and external data file for testing.
62 lines
2.5 KiB
C#
62 lines
2.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Represents an indicator that is a ready after ingesting enough samples (# samples > period)
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/// and always returns the same value as it is given.
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/// </summary>
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public class WindowIdentity : WindowIndicator<IndicatorDataPoint>
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{
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/// <summary>
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/// Initializes a new instance of the WindowIdentity class with the specified name and period
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The period of the WindowIdentity</param>
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public WindowIdentity(string name, int period)
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: base(name, period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the WindowIdentity class with the default name and period
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/// </summary>
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/// <param name="period">The period of the WindowIdentity</param>
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public WindowIdentity(int period)
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: this("WIN-ID" + period, period)
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{
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}
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady
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{
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get { return Samples >= Period; }
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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return input.Value;
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}
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}
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} |